Ito, T.; Lyons, R.; Melvin, M.T. - Economisch Institut voor het Midden en Kleinbedrijf- - 1997
It is a common view that private information in the foreign exchange market does not exist. We provide evidence against this view. The evidence comes from the introduction of trading in Tokyo over the lunch-hour. Lunch return variance doubles with the introduction of trading, which cannot be due...